Quant Strategy Library — Academic Backtests…

Showing 701–750 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
701	Analyst Days	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
702	Momentum and the Firm Fundamental Cycle	6.00%	0.63	United states	Equity	Stocks	Quarterly	Paid	—	Open
703	Geographical Country Momentum	3.58%	0.27	Global	Equity	ETFs, Stocks	Monthly	Paid	—	Open
704	Earnings Response Elasticity	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
705	The Value Uncertainty Premium	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
706	Industry Herding and Momentum	6.00%	0.63	United states	Equity	ETFs, Funds, Stocks	Monthly	Paid	—	Open
707	Long-Run Reversal in Commodity Returns	-13.34%	-0.15	Global	Equity	CFDs, Futures	Yearly	Paid	—	Open
708	Impact of Overnight Returns and Daytime Reversals to Future Stock Returns	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open
709	1 Month Momentum in Bonds	3.84%	0.52	Global	Bond	Futures, Swaps	Monthly	Paid	—	Open
710	1 Month Momentum in International Equities	5.82%	0.35	United states	Equity	CFDs, ETFs, Futures	Monthly	Paid	—	Open
711	1 Month Momentum in Commodities	0.65%	0.16	Global	Commodity	CFDs, Futures	Monthly	Paid	—	Open
712	CAPE Sector Picking Strategy	7.43%	0.43	Global	Equity	ETFs, Funds	Monthly	Paid	—	Open
713	Volatility-Weighted Short-Term Reversal Strategy in Emerging Market Equities	7.62%	0.41	Emerging markets	Equity	ETFs, Funds	Monthly	Paid	—	Open
714	Intraday Momentum in the Indian Equity Market	6.54%	0.50	India	Equity	Futures	Intraday	Paid	—	Open
715	Investment-Momentum Strategy	6.00%	0.63	United states	Equity	Stocks	Semi-yearly	Paid	—	Open
716	Computing Power Factor in Cryptocurrencies	65.79%	1.14	Global	Crypto	Crypto	Weekly	Paid	—	Open
717	Network Size Factor in Cryptocurrencies	65.79%	1.14	Global	Crypto	Crypto	Weekly	Paid	—	Open
718	Price Overreactions in the Forex	5.56%	0.47	United states	Currency	CFDs, Forwards, Futures, Swaps	Intraday	Paid	—	Open
719	A Multi Strategy Approach to Trading Foreign Exchange Futures	5.59%	0.55	United states	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
720	Optimalized Subportfolio Momentum	6.62%	0.54	United states	Equity	ETFs	Monthly	Paid	—	Open
721	US Equity Tail Risk and Currency Risk Premia	6.00%	0.63	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
722	The Equity Differential Factor in Currencies	3.30%	0.27	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
723	The Value Spread and Asset Allocation in Global Equity Markets	7.24%	0.42	Global	Equity	ETFs	Monthly	Paid	—	Open
724	Front-Running S&P GSCI Index	7.89%	0.63	United states	Commodity	CFDs, Futures	Daily	Paid	—	Open
725	Intraday Momentum in Crude Oil ETF	2.61%	0.24	Global	Commodity	ETFs	Intraday	Paid	—	Open
726	Taylor Rule and FX Returns	5.56%	0.47	Global	Currency	CFDs, Futures	Monthly	Paid	—	Open
727	Value Factor After Negative Market Return	6.23%	0.63	United states	Equity	ETFs, Stocks	Monthly	Paid	—	Open
728	Hazard Fear in Commodity Markets	7.89%	0.63	Global	Commodity	CFDs, Futures	Weekly	Paid	—	Open
729	Fundamental Strength and the 52-Week High Anomaly	6.77%	0.74	United states	Equity	Stocks	Semi-yearly	Paid	—	Open
730	Logistic Regression and Momentum-Based Trading Strategy	6.54%	0.50	United states	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
731	Short Selling the Issuer’s Stock in the Convertible Bond Arbitrage	3.83%	0.69	Global	Equity	Stocks	Daily	Paid	—	Open
732	Flight to Quality Factor in Fixed Income	5.67%	0.37	Global	Bond	CFDs, Futures	Daily	Paid	—	Open
733	Unemployment Gap Factor in Fixed Income	-0.38%	0.09	Global	Bond	CFDs, Futures	Monthly	Paid	—	Open
734	Growth Gap Factor in Fixed Income	3.33%	0.65	Global	Bond	CFDs, Futures	Quarterly	Paid	—	Open
735	Reversal – Yield Change Factor in Fixed Income	4.63%	0.47	Global	Bond	CFDs, Futures	Monthly	Paid	—	Open
736	Machine Learning Adaptive Portfolio Asset Allocation	6.29%	0.47	Global	Bond, Commodity, Equity, REITs	ETFs	Monthly	Paid	—	Open
737	Time Series Momentum Strategies Using Deep Neural Networks	3.84%	0.52	Global	Bond, Commodity, Currency, Equity	CFDs, Futures	Daily	Paid	—	Open
738	Nonlinear Support Vector Machines and Stock Picking	6.06%	0.45	Global	Equity	Stocks	Quarterly	Paid	—	Open
739	Timing High and Low Volatility Equity Factor Strategy	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
740	Momentum Stock Picking Strategy Using RSI Indicator	6.00%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
741	End-of-Month Treasury Returns	2.68%	0.28	Global	Bond	Bond, CFDs, ETFs, Forwards, Futures, Swaps	Daily	Paid	—	Open
742	Machine Learning and Currency Carry Strategy	3.63%	0.27	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
743	Market Breadth in Global Equities	7.03%	0.42	Global	Equity	ETFs	Monthly	Paid	—	Open
744	Price Gap Strategy in the US Stock Market	7.89%	0.63	United states	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
745	Brand Value Asset Pricing Factor	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
746	Equity Momentum Leads Corporate Bonds	3.73%	0.60	United states	Bond	Bond	Monthly	Paid	—	Open
747	Trend-Following and Spillover Eﬀect	6.07%	0.60	Global	Bond, Currency, Equity	CFDs, Forwards, Futures, Swaps	Weekly	Paid	—	Open
748	Bitcoin Intraday Momentum	65.79%	1.14	Global	Crypto	Crypto	Intraday	Paid	—	Open
749	Dynamic Momentum Strategy	6.60%	0.73	United states	Equity	Stocks	Monthly	Paid	—	Open
750	Conglomerates Post-Earnings Announcement Drift	6.00%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open

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